| Metric | SPY | MEMA |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 16.43% | 28.6% |
| CAGR﹪ | 22.36% | 39.61% |
| Sharpe | 1.33 | 1.22 |
| Prob. Sharpe Ratio | 87.53% | 85.16% |
| Smart Sharpe | 1.31 | 1.02 |
| Sortino | 2.01 | 1.78 |
| Smart Sortino | 1.97 | 1.48 |
| Sortino/√2 | 1.42 | 1.26 |
| Smart Sortino/√2 | 1.4 | 1.05 |
| Omega | 1.3 | 1.26 |
| Max Drawdown | -8.88% | -14.73% |
| Max DD Date | 2026-03-30 | 2026-07-29 |
| Max DD Period Start | 2026-01-28 | 2026-06-03 |
| Max DD Period End | 2026-04-13 | 2026-09-22 |
| Longest DD Days | 76 | 112 |
| Volatility (ann.) | 13.11% | 27.45% |
| R^2 | 0.58 | 0.58 |
| Information Ratio | 0.05 | 0.05 |
| Calmar | 2.52 | 2.69 |
| Skew | 0.01 | -0.36 |
| Kurtosis | 0.95 | 1.53 |
| Ulcer Performance Index | 7.19 | 4.98 |
| Risk-Adjusted Return | 22.36% | 39.61% |
| Risk-Return Ratio | 0.1 | 0.09 |
| Avg. Return | 0.08% | 0.15% |
| Avg. Win | 0.75% | 1.57% |
| Avg. Loss | -0.65% | -1.36% |
| Win/Loss Ratio | 1.15 | 1.16 |
| Profit Ratio | 1.1 | 1.02 |
| Expected Daily | 0.08% | 0.13% |
| Expected Monthly | 1.53% | 2.55% |
| Expected Yearly | 7.9% | 13.4% |
| Kelly Criterion | 10.55% | 11.63% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.27% | -2.7% |
| Expected Shortfall (cVaR) | -1.66% | -3.73% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.3 | 0.26 |
| Gain/Pain (1M) | 2.39 | 1.79 |
| Payoff Ratio | 1.15 | 1.16 |
| Profit Factor | 1.3 | 1.26 |
| Common Sense Ratio | 1.3 | 1.24 |
| CPC Index | 0.78 | 0.77 |
| Tail Ratio | 0.99 | 0.98 |
| Outlier Win Ratio | 2.89 | 3.16 |
| Outlier Loss Ratio | 3.16 | 3.76 |
| MTD | 1.08% | 2.78% |
| 3M | 3.82% | -2.06% |
| 6M | 19.85% | 22.23% |
| YTD | 14.3% | 24.93% |
| 1Y | 16.43% | 28.6% |
| 3Y (ann.) | 22.36% | 39.61% |
| 5Y (ann.) | 22.36% | 39.61% |
| 10Y (ann.) | 22.36% | 39.61% |
| All-time (ann.) | 22.36% | 39.61% |
| Best Day | 2.91% | 4.83% |
| Worst Day | -2.58% | -6.29% |
| Best Month | 10.51% | 13.96% |
| Worst Month | -4.94% | -8.45% |
| Best Year | 14.3% | 24.93% |
| Worst Year | 1.87% | 2.94% |
| Avg. Drawdown | -1.61% | -3.08% |
| Avg. Drawdown Days | 14 | 14 |
| Recovery Factor | 1.79 | 1.9 |
| Ulcer Index | 0.02 | 0.06 |
| Serenity Index | 0.97 | 0.71 |
| Avg. Up Month | 3.81% | 6.52% |
| Avg. Down Month | -2.98% | -5.33% |
| Win Days | 52.11% | 52.63% |
| Win Month | 70.0% | 70.0% |
| Win Quarter | 75.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 1.59 |
| Alpha | - | 0.04 |
| Correlation | - | 76.05% |
| Treynor Ratio | - | 17.96% |
| Year | SPY | MEMA | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 1.87 | 2.94 | 1.58 | + |
| 2026 | 14.30 | 24.93 | 1.74 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-03 | 2026-09-22 | -14.73 | 112 |
| 2026-02-26 | 2026-04-16 | -13.12 | 50 |
| 2026-05-12 | 2026-05-26 | -6.51 | 15 |
| 2026-01-29 | 2026-02-10 | -3.53 | 13 |
| 2026-04-20 | 2026-04-23 | -2.22 | 4 |
| 2026-01-16 | 2026-01-21 | -1.47 | 6 |
| 2026-04-27 | 2026-04-29 | -1.37 | 3 |
| 2026-02-23 | 2026-02-23 | -1.01 | 1 |
| 2026-05-28 | 2026-05-29 | -1.00 | 2 |
| 2026-05-07 | 2026-05-07 | -0.99 | 1 |